Question #4 Consider the following information regarding the performance of a money manager. The table presents the actual return of each sector of the manager’s portfolio in column (1), the fraction of the portfolio allocated to each sector in column (2), the benchmark or neutral sector allocation in column (3), and the returns of the sector indexes in column 4. (1) Actual return (2) actual weight (3) Benchmark Weight (4) Index Return Equity 3% 0.60 0.6 2.9 (S&P 500) Bonds 1.5% 0.25 0.3 1.2 (Bond Index) Cash 0.6% 0.15 0.1 0.45 1). What was manager’s return in the month? What was the over or underperformance? Show your calculations. 2). What’s contribution of security selection to the relative performance? Show your calculations.
Question #4
Consider the following information regarding the performance of a money manager. The table presents the actual return of each sector of the manager’s portfolio in column (1), the fraction of the portfolio allocated to each sector in column (2), the benchmark or neutral sector allocation in column (3), and the returns of the sector indexes in column 4.
|
|
(1) Actual return |
(2) actual weight |
(3) Benchmark Weight |
(4) Index Return |
|
Equity |
3% |
0.60 |
0.6 |
2.9 (S&P 500) |
|
Bonds |
1.5% |
0.25 |
0.3 |
1.2 (Bond Index) |
|
Cash |
0.6% |
0.15 |
0.1 |
0.45 |
1). What was manager’s return in the month? What was the over or underperformance? Show your calculations.
2). What’s contribution of security selection to the relative performance? Show your calculations.
Question #5
Lara Smith, CFA and CFP, has been reviewing current equity call prices for SemiCon and has noticed several discrepancies between several options prices and the basic option pricing relationships. She bets you lunch at Aqua that you won’t be able to identify three of these discrepancies.
Closing Prices on SemiCon Ltd Equity Call Options
May 3, 2002
|
Close |
Strike |
Expiration Month |
|||
|
May |
June |
July |
August |
||
|
13.64 |
12.50 |
1.02 |
1.95 |
2.12 |
2.54 |
|
13.64 |
15.00 |
0.35 |
0.70 |
0.55 |
1.12 |
|
13.64 |
17.50 |
0.20 |
0.58 |
0.83 |
1.34 |
Identify three different apparent pricing discrepancies in the above table. [Note: the fact that options contracts do not always trade at the same time as the underlying stock should not be identified as one of the discrepancies].
|
Describe Discrepancy |
Describe what options-pricing relationship is violated. |
|
|
|
|
|
|
|
|
|
Trending now
This is a popular solution!
Step by step
Solved in 4 steps with 4 images
